Search Results for: vix

Volatility and Macro Variables Macro variables pointing to a decrease in rates volatility are good news. Image: Goldman Sachs Global Investment Research

Volatility Index / S&P 500 Index 30-Day Realized Volatility The spread between VIX and the S&P 500 Index’s 30-day realized volatility jumped to the widest level since 1990. Image: Bloomberg

U.S. Financial Conditions Relative to the low VIX and favourable financial conditions, the equity risk premium remains quite high. Image: Fidelity Investments

The Market Risk Indicator (Global Financial Stress Index) According to BofAML, the global financial stress index is a more accurate market risk indicator than VIX. Image: BofA Merrill Lynch Global Research

Equity Volatility vs. Equity Allocation As equity volatility rises (inverted on the chart), equity allocations come down. You may alos like “The Yield Curve Leads VIX (Volatility) by Three Years.” Picture Source: Deutsche Bank

S&P 500 1-Year Volatility vs. EPS Revisions This chart from SG shows a good correlation between earning revisions and the S&P 500 1-year volatility. You may also like “S&P 500 1-Month Volatility History Since 1928 and VIX Since 1990.” Image: Societe Generale Cross Asset Research